Probabilistic forecasts, calibration and sharpness

Probabilistic forecasts of continuous variables take the form of predictive densities or predictive cumulative distribution functions. We propose a diagnostic approach to the evaluation of predictive performance that is based on the paradigm of maximizing the sharpness of the predictive distribution...

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Bibliographic Details
Published in:	Journal of the Royal Statistical Society. Series B, Statistical methodology Vol. 69; no. 2; pp. 243 - 268
Main Authors:	Gneiting, Tilmann, Balabdaoui, Fadoua, Raftery, Adrian E
Format:	Journal Article
Language:	English
Published:	Oxford, UK Oxford, UK : Blackwell Publishing Ltd 01.04.2007 Blackwell Publishing Ltd Blackwell Publishers Blackwell Royal Statistical Society Oxford University Press
Series:	Journal of the Royal Statistical Society Series B
Subjects:	Analytical forecasting Autocorrelation Calibration Cross-validation cumulative distribution Density forecast diagnostic techniques Distribution Distribution theory Ensemble prediction system Evaluation Ex post evaluation Exact sciences and technology Forecast verification Forecasting Forecasts Histograms Inference from stochastic processes; time series analysis Mathematical methods Mathematics Model diagnostics Model testing Nonparametric inference Posterior predictive assessment prediction Predictions Predictive distribution Prequential principle Probabilities Probability Probability and statistics Probability forecasts Probability integral transform Probability theory and stochastic processes Proper scoring rule Property Sciences and techniques of general use Scores Statistical analysis Statistical methods Statistics Stochastic processes Studies Time series time series analysis Time series forecasting United States Weather forecasting Wind power wind speed Wind velocity United States Performance evaluation Rank statistic Density estimation Histogram Predictive distribution Non parametric estimation Cross validation Forecast model Hypothesis test Probabilistic assessment Posterior predictive assessment Model matching Cross-validation Forecast verification Ex post evaluation Integral transformation Posterior distribution Density forecast Model selection Time series Ensemble prediction system Prequential principle Proper scoring rule Statistical method Model diagnostics Probability integral transform
ISSN:	1369-7412, 1467-9868
Online Access:	Get full text
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